This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … spillovers mostly run from stocks to bonds and exhibit a time-varying pattern over all three stages of the crisis in most … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

realized defaults. Furthermore, it predicts future equity and corporate bond returns, even after controlling for many existing …

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal … growth evolve over time under the true distribution, and this difference makes excess returns on long-term bonds predictable …

different borrowers that is distinct from the standard metrics gleaned from bond yields or credit-default swaps. As such, while … yields typically ignore differences in debt maturities and hence refinancing risks. This paper describes a new indicator of …